lob — Market Microstructure Practice Questions

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1. A stock is quoted at $50.00 bid x $50.10 ask. A buyer submit… — How does this action affect the displayed mark
2. If the stock price drops instantly from $50.05 to $49.00 in a 'flash crash,' what happens to the order?
3. Under the National Market System (Reg NMS), if Exchange A is quoting a stock at $10.00 x $10.05 and Exchange B
4. If a market sell order for 200 shares arrives at 10:00:05 AM, who receives the fill?
5. A stock is trading with an NBBO of $40.00 × $40.10. A trade… — According to the Lee–Ready algorithm, how shoul
6. A stock is priced at $1.05. A market participant submits a q… — Why is this quote rejected under Rule 612 of R
7. What is the status of our limit order after the match, and what microstructure risk is the order exposed to wh
8. If a market buy for 400 shares arrives and the exchange uses 'pro-rata' matching, how many shares does the fir
9. Under Reg NMS Rule 611 (Order Protection Rule), what is a broker required to do if the best offer is $50.01 on
10. If a broker executes a sell order on Exchange A at 10.00, which Regulation NMS rule has been violated?
11. If a trader submits a new limit sell order for 200 shares at 9.95, what happens to the clearing volume?
12. If a trader sends a market buy order for 1,000 shares of a stock quoted at 10.00 -10.01, what is the total exe
13. What is the average price the buyer will pay?
14. Authorized Participants (APs) notice that an S&P 500 ETF is… — Which action should the AP take to arbitrage th
15. If a market buy order for 600 shares arrives, how is it filled?
16. A regulatory rule prevents an exchange from executing a trad… — This is a direct application of which Regulati
17. An Authorized Participant (AP) notices an S&P 500 ETF is tra… — To profit from this 10 basis point premium, th
18. If a market sell order for 600 shares arrives, how are the fills allocated?
19. A trader places an 'Iceberg' order to buy 10,000 shares, wit… — What is the primary purpose of using this orde
20. If the market gaps down after an earnings announcement and opens at 69.50, at what price will the trade likely
21. Under Regulation NMS Rule 611 (the Trade-Through Rule), if Exchange A displays a protected offer of 500 shares
22. Which sequence of actions will the AP take to capture the arbitrage?
23. If a market buy order for 400 contracts arrives, how many contracts are allocated to Order B?
24. At which price is the traded volume maximized?
25. At what price is the volume maximized?
26. A stock is priced at 105.00. A trader wants to place a sell… — According to Regulation NMS Rule 612, is this p
27. Which of the following observations most likely tipped them off?
28. What is the clearing price and how many shares trade?
29. If the exchange uses 'Pro-Rata' matching and a market buy order for 400 shares arrives, how many shares are al
30. Which scenario constitutes a violation of Reg NMS Rule 611 (The Order Protection Rule)?